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All cookies are stored in the same place.
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EmmEff is correct - thanks EmmEff :), all cookies are stored in the same place.
However it appears I was looking for session cookies by mistake (which don't appear to be stored).
For reference (I relise this is answering a slightly different question) If you have the IE developer toolbar installed and click "cache" > "View cookie information". It will generate an XML file in a hidden directory:
C:\Documents and Settings\MY USERNAME\Local Settings\Temporary Internet Files\Content.IE5
(note the IE5 - I have IE8 installed)
The XML file will contain the session cookies.
I'm running XP SP3 & IE8, when viewing
C:\Documents and Settings\MY USERNAME\Local Settings\Temporary Internet Files\
All I can see are cookies from FQDN's e.g. http://www.example.org
However I know the cookies are being set, as I can see them using a HTTP tracer (the fiddler).
Whoops! My mistake, I realised that I was not only looking for intranet cookies but also they are session cookies!
For reference: It looks as though session cookies are not stored (as such) but only stored in memory. However you can see them (but this might be just because I have the developer toolbar installed) in a hidden directory here: C:\Documents and Settings\MY USERNAME\Local Settings\Temporary Internet Files\Content.IE5
Notably Content.IE5 cannot even be seen if you turn on show hidden directories, but you can browse to it. In comments of: http://stackoverflow.com/questions/688956/